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Forecasting Share Prices of Small Size Companies in Bursa Malaysia Using Geometric Brownian Motion |
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PP: 107-112 |
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Author(s) |
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Siti Nazifah Zainol Abidin,
Maheran Mohd Jaffar,
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Abstract |
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| This paper proposes a way to forecast the future closing price of small sized companies by using geometric Brownian
motion. Forecasting is restricted to short term investment because most of the investors aim to gain profit in short period of time. This
study focusses on small sized companies because the asset prices are lower, hence the asset are affordable for all level of investors.
But, to choose the suitable counters to invest is difficult and with the uncertainty of market prices, it will lead to the decline of the
investor’s confidence level. Therefore, forecasting future closing price is essential. In this paper, we suggest that geometric Brownian
motion which involves randomness, volatility and drift can be used to forecast a maximum of two week investment closing prices. This
method is accurately proven by the lower value of the Mean Absolute Percentage Error (MAPE). In addition, the uses of data is also
investigated and found that one week data is enough to forecast the share prices using geometric Brownian motion. |
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